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Effects of macroeconomic variables on Istanbul stock exchange indexes

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  • Cumhur Erdem
  • Cem Kaan Arslan
  • Meziyet Sema Erdem

Abstract

Price volatility spillovers in ISE indexes were analysed based on monthly data from January 1991 to January 2004 for exchange rate, interest rate, inflation, industrial production and M1 money supply. The Exponential Generalized Autoregressive Conditional Heteroscedasticity model was used to test univariate volatility spillovers for macroeconomic variables. It was found that there exists unidirectional strong volatility spillover from inflation, interest rate to all stock price indexes. There are spillovers from M1 money supply to financial index, and from exchange rate to both IMKB 100 and industrial indexes. There is no volatility spillover from industrial production to any index.

Suggested Citation

  • Cumhur Erdem & Cem Kaan Arslan & Meziyet Sema Erdem, 2005. "Effects of macroeconomic variables on Istanbul stock exchange indexes," Applied Financial Economics, Taylor & Francis Journals, vol. 15(14), pages 987-994.
  • Handle: RePEc:taf:apfiec:v:15:y:2005:i:14:p:987-994
    DOI: 10.1080/09603100500120365
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    References listed on IDEAS

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    5. Angelos Kanas, 1998. "Volatility spillovers across equity markets: European evidence," Applied Financial Economics, Taylor & Francis Journals, vol. 8(3), pages 245-256.
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    Cited by:

    1. Alenka Kavkler & Mejra Festić, 2011. "Modelling Stock Exchange Index Returns in Different GDP Growth Regimes," Prague Economic Papers, University of Economics, Prague, vol. 2011(1), pages 3-22.
    2. Khaled Hussainey & Le Khanh Ngoc, 2009. "The impact of macroeconomic indicators on Vietnamese stock prices," Journal of Risk Finance, Emerald Group Publishing, vol. 10(4), pages 321-332, August.
    3. Guneratne Wickremasinghe, 2011. "The Sri Lankan stock market and the macroeconomy: an empirical investigation," Studies in Economics and Finance, Emerald Group Publishing, vol. 28(3), pages 179-195, August.
    4. Charles K.D. Adjasi, 2009. "Macroeconomic uncertainty and conditional stock-price volatility in frontier African markets: Evidence from Ghana," Journal of Risk Finance, Emerald Group Publishing, vol. 10(4), pages 333-349, August.
    5. Maryatmo, Rogatianus, 2010. "Pengaruh Jangka Pendek dan Jangka Panjang Perubahan Suku Bunga dan Kurs Rupiah Terhadap Harga Saham : Studi Empiris di Indonesia (2000:1 – 2010:4)," MPRA Paper 25532, University Library of Munich, Germany.
    6. repec:eco:journ1:2017-04-51 is not listed on IDEAS
    7. Cyrus Mutuku & Kirwa Lelei Ng¡¯eny, 2015. "Macroeconomic Variables and the Kenyan Equity Market: A Time Series Analysis," Business and Economic Research, Macrothink Institute, vol. 5(1), pages 1-10, June.
    8. Bülent Köksal & Ahmet Çalışkan, 2012. "Political Business Cycles and Partisan Politics: Evidence from a Developing Economy," Economics and Politics, Wiley Blackwell, vol. 24(2), pages 182-199, July.

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